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International real interest rate parity with error correction models

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  • Byun, Jong-Cook
  • Chen, Son-Nan
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 7 (1996)
    Issue (Month): 2 ()
    Pages: 129-151

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    Handle: RePEc:eee:glofin:v:7:y:1996:i:2:p:129-151

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Cumby, Robert E. & Mishkin, Frederic S., 1986. "The international linkage of real interest rates: The European-US connection," Journal of International Money and Finance, Elsevier, Elsevier, vol. 5(1), pages 5-23, March.
    2. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8650, Universite de Montreal, Departement de sciences economiques.
    3. McCormick, Frank, 1979. "Covered Interest Arbitrage: Unexploited Profits? Comment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(2), pages 411-17, April.
    4. Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, American Finance Association, vol. 38(1), pages 49-65, March.
    5. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    6. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    7. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    8. Prachowny, Martin F J, 1970. "A Note on Interest Parity and the Supply of Arbitrage Funds," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 78(3), pages 540-45, May-June.
    9. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 83(2), pages 325-38, April.
    10. Frank McCormick, 1979. "Covered-interest arbitrage: unexploited profits: comment," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 132, Board of Governors of the Federal Reserve System (U.S.).
    11. Howard, David H & Johnson, Karen H, 1983. "The Behavior of Monetary Aggregates in Major Industrialized Countries," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 15(4), pages 455-68, November.
    12. Marston, Richard C., 1976. "Interest arbitrage in the Euro-currency markets," European Economic Review, Elsevier, Elsevier, vol. 7(1), pages 1-13.
    13. Officer, Lawrence H & Willett, Thomas D, 1970. "The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 2(2), pages 247-57, May.
    14. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
    15. Titman, Sheridan & Warga, Arthur, 1989. "Stock Returns as Predictors of Interest Rates and Inflation," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(01), pages 47-58, March.
    16. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
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    Cited by:
    1. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.

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